English

A Note on the Convergence of Mirrored Stein Variational Gradient Descent under $(L_0,L_1)-$Smoothness Condition

Optimization and Control 2022-06-22 v1 Machine Learning Statistics Theory Statistics Theory

Abstract

In this note, we establish a descent lemma for the population limit Mirrored Stein Variational Gradient Method~(MSVGD). This descent lemma does not rely on the path information of MSVGD but rather on a simple assumption for the mirrored distribution Ψ#πexp(V)\nabla\Psi_{\#}\pi\propto\exp(-V). Our analysis demonstrates that MSVGD can be applied to a broader class of constrained sampling problems with non-smooth VV. We also investigate the complexity of the population limit MSVGD in terms of dimension dd.

Keywords

Cite

@article{arxiv.2206.09709,
  title  = {A Note on the Convergence of Mirrored Stein Variational Gradient Descent under $(L_0,L_1)-$Smoothness Condition},
  author = {Lukang Sun and Peter Richtárik},
  journal= {arXiv preprint arXiv:2206.09709},
  year   = {2022}
}

Comments

first draft and will be modified